2 papers
math.OC2026
Deep Learning for Energy Market Contracts: Dynkin Game with Doubly RBSDEs
Nacira Agram, Ihsan Arharas, Giulia Pucci +1
We formulate a Contract for Difference (CfD) with early exit options as a two-player zero-sum Dynkin game, reflecting the strategic interaction between an electricity producer and…
math.PR2024
Optimal Stopping Under Model Uncertainty in a General Setting
Ihsan Arharas, Siham Bouhadou, Astrid Hilbert +1
We consider the optimal stopping time problem under model uncertainty $R(v)= {\text{ess}\sup\limits}_{ \mathbb{P} \in \mathcal{P}} {\text{ess}\sup\limits}_{Ï\in \mathcal{S}_v} E^\…